Resource title

Strict local martingale deflators and valuing American call-type options

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Resource description

We solve the problem of valuing and optimal exercise of American calltype options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Karatzas and Fernholz (Handbook
of Numerical Analysis, vol. 15, pp. 89–167, Elsevier, Amsterdam, 2009).